Error In Configuration For Repo/Reverse Repo, Fed Funds Reporting (Doc ID 2809921.1)

Last updated on OCTOBER 03, 2021

Applies to:

Symptoms

Version: RRS 809, FSDF 809
Reports: FFIEC-031/041, FRY-9C
Schedules: RC-K/ HC-K

1) MDRM: xxxx3365 (RC-K/HC-K)
Issue:

a. Reported measure (BP) BPHCK008 uses logic -

"SUM(CASE WHEN DIM_HOLDING_TYPE.V_HOLDING_TYPE IN ('HTM', 'AFS') and DIM_INSTRUMENT_TYPE.V_INSTR_TYPE_CODE in ('IRSPOTRREP','FEDFUNSOLD') THEN FCT_REG_ACCOUNT_SUMMARY.N_OUTSTANDNG_PRINCIPAL_BAL_RCY END)/max(DERHCK03.BPHCK004)"

HTM/AFS holding type are not applicable for Repo/Rev Repo, Holding type filter should be removed

b. Since V_INSTR_TYPE_CODE = 'IRSPOTRREP' has other use-cases which should not be reported in this MDRM (e.g. Rev Repo reported as loan), there is a requirement to filter based on STG_REPO_CONTRACTS.V_UNDELRYING_TYPE_CODE = SECURITIES, in order to eliminate Loan reporting

c. As per guidelines schedule K reporting is quarterly average of schedule C-3a+3b, Configuration for schedule K does not uses 'POPINPOS' which is used in HC/RC Line 3b.

{ 5. Federal funds sold and securities purchased under agreements to resell......................3365, 5

5. Federal funds sold and securities purchased under agreements to resell. Report the quarterly average for federal funds sold and securities purchased under agreements to resell (as defined for Schedule RC, item 3).

3. Federal funds sold and securities purchased under agreements to resell:
a. Federal funds sold in domestic offices..........................................................RCONB987 3.a
b. Securities purchased under agreements to resell5,6.........................................RCFDB989 3.b.

RC, line 3.a B987 uses
DIM_REG_INSTR_CLASSIFICATION V_REG_INSTR_CLASS_CODE FEDFUNDREVREP#~#FEDFUNSOLD

RC , line 3.b B989 uses
DIM_REG_INSTR_CLASSIFICATION V_REG_INSTR_CLASS_CODE POPINPOS#~#REVREPO

These codes are not in line with schedule K line item 5 }

Cause

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